نتایج جستجو برای: portfolio optimization

تعداد نتایج: 335260  

2013
Fatemeh Khodaparast Mahdi Moradi Mahdi Salehi

Classical statistical models can solve the problem of portfolio optimization and can determine the efficient frontier of investment when there are few investable assets and constraints. But these models cannot easily solve optimization problems when we consider real-world constraints. Therefore, data mining techniques such as evolutionary algorithms are important in portfolio optimization. The ...

Journal: :مدیریت صنعتی 0
علیرضا شریفی سلیم دانشجوی دکتری، مدیریت صنعتی، دانشکدۀ مدیریت، دانشگاه تهران، تهران، ایران منصور مومنی استاد، مدیریت صنعتی، دانشکدۀ مدیریت، دانشگاه تهران، تهران، ایران محمد مدرس یزدی استاد، مهندسی صنایع، دانشکدۀ مهندسی صنایع، دانشگاه صنعتی شریف، تهران، ایران رضا راعی استاد، مدیریت مالی، دانشکدۀ مدیریت، دانشگاه تهران، تهران، ایران

in traditional portfolio selection model coefficients often are certain and deterministic, but in real world these coefficients are probabilistic. so decision maker cannot estimate them exactly. financial optimization is one of the most attractive areas in decision under uncertainty. in the portfolio selection problem the decision maker considers simultaneously conflicting objectives such as ra...

2014
Dhanya Jothimani Ravi Shankar Surendra S. Yadav

With the advent of Web 2.0, various types of data are being produced every day. This has led to the revolution of big data. Huge amount of structured and unstructured data are produced in financial markets. Processing these data could help an investor to make an informed investment decision. In this paper, a framework has been developed to incorporate both structured and unstructured data for p...

Journal: :Computers & OR 2016
Vladimir Rankovic Mikica Drenovak Branko Urosevic Ranko Jelic

In accordance with Basel Capital Accords, the Capital Requirements (CR) for market risk exposure of banks is a nonlinear function of Value-at-Risk (VaR). Importantly, the CR is calculated based on a bank’s actual portfolio, i.e. the portfolio represented by its current holdings. To tackle mean-VaR portfolio optimization within the actual portfolio framework (APF), we propose a novel mean-VaR op...

Journal: :European Journal of Operational Research 2017
Khin Lwin Rong Qu Bart L. MacCarthy

Portfolio optimization involves the optimal assignment of limited capital to different available financial assets to achieve a reasonable trade-off between profit and risk. We consider an alternative Markowitz’s mean-variance model in which the variance is replaced with an industry standard risk measure, Value-atRisk (VaR), in order to better assess market risk exposure associated with financia...

2012
Jin Xu

Stock portfolio selection is a classic problem in finance, and it involves deciding how to allocate an institution’s or an individual’s wealth to a number of stocks, with certain investment objectives (return and risk). In this paper, we adopt the classical Markowitz mean-variance model and consider an additional common realistic constraint, namely, the cardinality constraint. Thus, stock portf...

2009
A.E.B. Lim J. G. Shanthikumar G.-Y. Vahn

We evaluate conditional value-at-risk (CVaR) as a risk measure in data-driven portfolio optimization. We show that portfolios obtained by solving mean-CVaR and global minimum CVaR problems are unreliable due to estimation errors of CVaR and/or the mean, which are aggravated by optimization. This problem is exacerbated when the tail of the return distribution is made heavier. We conclude that CV...

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